Hello,
could anyone explain what am I doing wrong. When I use colldiag function from package perturb I get different Variance Decomposition Proportions matrix in R than in SAS, although the eigenvalues and indexes are the same.
Thanks for your attention.
 
Results:
 
in R:

eigen(cor(indep2))

$values
[1] 4.197131e+00 6.674837e-01 9.462858e-02 4.070314e-02 5.323022e-05
 

colldiag(indep2,c=T)

Condition

Index   Variance Decomposition Proportions

           a     b     c     d     e    

1    1.000 0.236 0.205 0.235 0.212 0.111

2    2.508 0.000 0.113 0.000 0.097 0.791

3    6.660 0.028 0.647 0.024 0.289 0.013

4   10.155 0.219 0.035 0.259 0.402 0.085

5  280.800 0.518 0.000 0.482 0.001 0.000

 

 

while in SAS:

 

    Collinearity Diagnostics (intercept adjusted)



                                                         ConditionNumber     Eigenvalue    Index

 

         1        4.19713        1.00000

         2        0.66748        2.50759

         3        0.09463        6.65986

         4        0.04070       10.15459

         5     0.00005323      280.80004

 

Collinearity Diagnostics (intercept adjusted)

 

--------Proportion of Variation--------------

Number   x1    x2      x3      x4        x5

 

1 0.00000576  0.00617  0.00000619  0.00216  0.00612

2 5.61156E-10  0.02126  1.33053E-10  0.00617  0.27321

3 0.00002995  0.86094  0.00002767  0.13011  0.03236

4 0.00055307  0.10888  0.00070411  0.42083  0.47923

5 0.99941  0.00275  0.99926  0.44072  0.20907

 




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